Harnack inequalities for functional SDEs with multiplicative noise and applications

Feng-Yu Wang and Chenggui Yuan

Stochastic Processes and their Applications, 2011, vol. 121, issue 11, 2692-2710

Abstract: By constructing a new coupling, the log-Harnack inequality is established for the functional solution of a delay stochastic differential equation with multiplicative noise. As applications, the strong Feller property and heat kernel estimates w.r.t. quasi-invariant probability measures are derived for the associated transition semigroup of the solution. The dimension-free Harnack inequality in the sense of Wang (1997) [14] is also investigated.

Keywords: Harnack; inequality; Functional; solution; Delay; SDE; Strong; Feller; property; Heat; kernel (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (13)

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